There's a whole forum section on smoking Vegetables, Cheese, Nuts. Plenty of threads in there with some good ideas. I know it has to be fairly cold or the cheese will melt during the process, so late spring is probably not the best time to try smoking cheese.

I don't think a marinade would penetrate very far, but you may have some flavor on the surface, but neither does the smoke penetrate very deep. That is why when I smoke cheese, I use cheese with the most surface space. I generally will use 1 1/2" bricks of cheese, or cut larger blocks into that size.